It also re-routes DNS requests leaving Firefox!I leave it on all the time.
The most appealing feature is it even encrypt DNS requests leaving Safari, hence my office admin would not know what websites I have been visiting when my phone is connected to the office Wi-Fi.

Try turning it off in Network Preferences and see the difference here: https://www.dnsleaktest.com/
I have been using OpenDNS servers but now apparently iCloud Private Relay has taken over.
Interestingly, before it went down I was seeing Cloudflare servers both in Firefox and Safari. Now iCloud Private Relay is routing Firefox's DNS requests via Akamai but Safari's go via Cloudflare ?